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Barclays plans to price iPath U.S. Treasury 5-year Bull ETNs
By Angela McDaniels
Tacoma, Wash., July 6 - Barclays Bank plc plans to price 0% iPath U.S. Treasury 5-year Bull exchange-traded notes linked to the Barclays Capital 5Y US Treasury Futures Target Exposure index, according to a 424B3 filing with the Securities and Exchange Commission.
The tenor of the notes has not been set.
The notes will have a face value of $50 each.
The payout at maturity will be the closing indicative value of the notes on the final valuation date.
The closing indicative note value on the inception date will equal $50. On each subsequent day, it will equal the closing indicative note value on the preceding day plus the daily index performance amount plus the daily interest minus the daily investor fee.
The daily index performance is the product of (a) $0.10 multiplied by (b) the closing level of the index on that day minus the closing level on the preceding day minus the index rolling cost on that day.
The index rolling cost is $0.005 on roll days and zero on non-roll days. Roll days occur over three consecutive business days in February, May, August and November of each year. The net effect of the index rolling cost accumulates over time and is subtracted at the rate of $0.06, or 0.12% of par, per year.
The daily interest is the closing indicative note value on the preceding day times the most recent weekly investment rate for 28-day U.S. Treasury bills divided by 360.
The daily investor fee is the closing indicative note value on the preceding day times 0.75% divided by 365.
The issuer noted that each one point decrease in the level of the index will result in a $0.10 decrease per ETN in the repayment amount at maturity or upon redemption.
The notes are putable, subject to a minimum of 50,000 notes.
The issuer plans to apply to list the notes on the NYSE Arca under the ticker symbol "DFVL."
Barclays Capital Inc. is the agent.
The Cusip number is 06740P650.
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